Massimiliano Marcellino : Citation Profile


Are you Massimiliano Marcellino?

Università Commerciale Luigi Bocconi (50% share)
Università Commerciale Luigi Bocconi (50% share)

36

H index

92

i10 index

4442

Citations

RESEARCH PRODUCTION:

97

Articles

240

Papers

2

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 193
   Journals where Massimiliano Marcellino has often published
   Relations with other researchers
   Recent citing documents: 454.    Total self citations: 187 (4.04 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma114
   Updated: 2020-10-24    RAS profile: 2020-09-24    
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Relations with other researchers


Works with:

Carriero, Andrea (27)

Clark, Todd (20)

Foroni, Claudia (11)

Guérin, Pierre (9)

Venditti, Fabrizio (7)

Stevanovic, Dalibor (5)

Abbate, Angela (4)

Leiva-Leon, Danilo (4)

Mogliani, Matteo (3)

Eickmeier, Sandra (3)

Ferrara, Laurent (3)

Banerjee, Anindya (2)

Aastveit, Knut Are (2)

Corsello, Francesco (2)

Sivec, Vasja (2)

Casarin, Roberto (2)

Hepenstrick, Christian (2)

Ravazzolo, Francesco (2)

Masten, Igor (2)

aprigliano, valentina (2)

Lemke, Wolfgang (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Massimiliano Marcellino.

Is cited by:

Koop, Gary (78)

Korobilis, Dimitris (64)

Eickmeier, Sandra (60)

Ferrara, Laurent (45)

Dreger, Christian (44)

Giannone, Domenico (41)

Pesaran, M (40)

Hecq, Alain (38)

Götz, Thomas (38)

Darné, Olivier (37)

Siliverstovs, Boriss (37)

Cites to:

Reichlin, Lucrezia (200)

Watson, Mark (160)

Giannone, Domenico (156)

Stock, James (115)

Forni, Mario (112)

Lippi, Marco (101)

Hendry, David (90)

Ng, Serena (88)

Hallin, Marc (74)

Clements, Michael (64)

Schumacher, Christian (63)

Main data


Where Massimiliano Marcellino has published?


Journals with more than one article published# docs
International Journal of Forecasting14
Journal of Applied Econometrics13
Oxford Bulletin of Economics and Statistics9
Journal of the Royal Statistical Society Series A7
Journal of Forecasting4
Journal of Econometrics4
Journal of Applied Econometrics4
Economic Modelling4
Journal of Business & Economic Statistics4
Econometrics Journal3
Journal of Time Series Analysis3
Empirical Economics3
Computational Statistics & Data Analysis2
Economics Letters2
Macroeconomic Dynamics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Economics Working Papers / European University Institute26
Working Paper Series / European Central Bank9
Working Papers (Old Series) / Federal Reserve Bank of Cleveland8
Discussion Paper Series 1: Economic Studies / Deutsche Bundesbank7
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area6
Working Papers / Federal Reserve Bank of Cleveland4
Post-Print / HAL3
Discussion Papers / Department of Economics, University of Birmingham3
BAFFI CAREFIN Working Papers / BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy3
RSCAS Working Papers / European University Institute3
Working Papers / University of California, Davis, Department of Economics3
Discussion Papers / Deutsche Bundesbank3
CFS Working Paper Series / Center for Financial Studies (CFS)2
Staff Working Papers / Bank of Canada2

Recent works citing Massimiliano Marcellino (2020 and 2019)


YearTitle of citing document
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103.

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2020Targeting predictors in random forest regression. (2020). Nielsen, Mikkel S ; Muhlbach, Nicolaj N ; Christensen, Bent Jesper ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-03.

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2020Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719.

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2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103.

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2020“Measuring and assessing economic uncertainty”. (2020). Claveria, Oscar. In: AQR Working Papers. RePEc:aqr:wpaper:202003.

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2020A macroeconometric model for Russia. (2020). Tolepbergen, Alisher ; Bolatbayeva, Aizhan ; Abilov, Nurdaulet. In: Russian Journal of Economics. RePEc:arh:jrujec:v:6:y:2020:i:2:p:114-143.

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2019Sparse Bayesian vector autoregressions in huge dimensions. (2018). Kastner, Gregor ; Huber, Florian. In: Papers. RePEc:arx:papers:1704.03239.

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2020Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178.

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2020Diversity and Sparsity: A New Perspective on Index Tracking. (2018). Hospedales, Timothy M ; Zheng, YU ; Yang, Yongxin. In: Papers. RePEc:arx:papers:1809.01989.

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2020A Nonparametric Dynamic Causal Model for Macroeconometrics. (2019). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2019Forecasting the US GDP Components in the short run. (2019). Celov, Dmitrij ; Jokubaitis, Saulius. In: Papers. RePEc:arx:papers:1906.07992.

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2019Simulation smoothing for nowcasting with large mixed-frequency VARs. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1907.01075.

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2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

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2019Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach. (2019). Yang, Yongxin ; Hospedales, Timothy M ; Chen, Bowei ; Zheng, YU. In: Papers. RePEc:arx:papers:1911.05052.

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2019Topologically Mapping the Macroeconomy. (2019). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:1911.10476.

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2019Estimating Large Mixed-Frequency Bayesian VAR Models. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1912.02231.

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2019Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models. (2019). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa. In: Papers. RePEc:arx:papers:1912.03100.

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2019Bayesian estimation of large dimensional time varying VARs using copulas. (2019). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: Papers. RePEc:arx:papers:1912.12527.

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2020The effects of targeting predictors in a random forest regression model. (2020). Christensen, Bent Jesper ; Nielsen, Mikkel Slot ; Muhlbach, Nicolaj Norgaard ; Borup, Daniel. In: Papers. RePEc:arx:papers:2004.01411.

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2020Bayesian Optimization of Hyperparameters when the Marginal Likelihood is Estimated by MCMC. (2020). Stockhammar, Par ; Villani, Mattias ; Gustafsson, Oskar. In: Papers. RePEc:arx:papers:2004.10092.

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2020Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496.

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2020Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906.

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2020Macroeconomic Forecasting with Fractional Factor Models. (2020). Hartl, Tobias. In: Papers. RePEc:arx:papers:2005.04897.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Measuring Macroeconomic Uncertainty: A Cross-Country Analysis. (2020). Sarferaz, Samad ; Dibiasi, Andreas. In: Papers. RePEc:arx:papers:2006.09007.

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2020Flexible Mixture Priors for Time-varying Parameter Models. (2020). Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2006.10088.

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2020Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Ravazzolo, Francesco ; Iacopini, Matteo ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.11265.

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2020Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2020How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of Chinas stock market during the outbreak of COVID-19. (2020). Yan, Yan ; Qiao, FU. In: Papers. RePEc:arx:papers:2007.07487.

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2020Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2020Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession. (2020). Pfarrhofer, Michael ; Huber, Florian ; Feldkircher, Martin. In: Papers. RePEc:arx:papers:2007.15419.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2020Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs. (2020). Pfarrhofer, Michael ; Huber, Florian ; Schreiner, Josef ; Onorante, Luca ; Koop, Gary. In: Papers. RePEc:arx:papers:2008.12706.

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2020Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2020Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2020Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

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2020The Effectiveness of Chinas Monetary Policy: Based on the Mixed-Frequency Data. (2020). Pan, Shengjie ; Zhang, Hongyan ; Song, Yinqiu ; Wang, Deqing. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:325-339.

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2020A Panel Dynamic Analysis on Inward FDI and Institutional Quality in South Asia and South East Asia. (2020). Cardorel, Obambi Chardel ; Randolphe, Kichiedou Geraud ; Arnaud, Anouba Acha ; Appiah, Bismark Kusi ; Majumder, Shapan Chandra ; Layla, Frajana. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:654-669.

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2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19118.

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2019Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term. (2019). Gaglianone, Wagner ; de Oliveira, Fernando Nascimento . In: Working Papers Series. RePEc:bcb:wpaper:497.

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2019Housing sector and optimal macroprudential policy in an estimated DSGE model for Luxembourg. (2019). Sangare, Ibrahima. In: BCL working papers. RePEc:bcl:bclwop:bclwp129.

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2019Inflation interdependence in advanced economies. (2019). Gómez-Loscos, Ana ; Gadea, María ; Alvarez, Luis ; Gomez-Loscos, Ana. In: Working Papers. RePEc:bde:wpaper:1920.

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2020Macro-financial interactions in a changing world. (2020). Leiva-Leon, Danilo ; Gerba, Eddie. In: Working Papers. RePEc:bde:wpaper:2018.

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2019The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks. (2019). Neri, Stefano ; Siviero, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_486_19.

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2019Assessing financial stability risks from the real estate market in Italy: an update. (2019). Cornacchia, Wanda ; Ciocchetta, Federica . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_493_19.

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2019Forecasting inflation in the euro area: countries matter!. (2019). Pacella, Claudia ; Capolongo, Angela. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1224_19.

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2019Domestic and global determinants of inflation: evidence from expectile regression. (2019). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1225_19.

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2019News and consumer card payments. (2019). Monteforte, Libero ; Marcucci, Juri ; Emiliozzi, Simone ; Ardizzi, Guerino. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1233_19.

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2019Forecasting with instabilities: an application to DSGE models with financial frictions. (2019). Villa, Stefania ; Paccagnini, Alessia ; Cardani, Roberta. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1234_19.

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2020Estimación de la variación del precio de los alimentos con modelos de frecuencias mixtas. (2020). Cardenas-Cardenas, Julian Alonso ; Gonzalez, Eliana R ; Caicedo-Garcia, Edgar. In: Borradores de Economia. RePEc:bdr:borrec:1109.

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2019Bayesian MIDAS penalized regressions: estimation, selection, and prediction. (2019). Mogliani, Matteo. In: Working papers. RePEc:bfr:banfra:713.

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2019When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage. (2019). Simoni, Anna ; Ferrara, Laurent. In: Working papers. RePEc:bfr:banfra:717.

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2019Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area. (2019). Ganics, Gergely ; Odendahl, Florens. In: Working papers. RePEc:bfr:banfra:733.

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2019Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1081.

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2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

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2020Inventory Shock and Price-Setting. (2020). Vu, Nam ; Talavera, Oleksandr. In: Discussion Papers. RePEc:bir:birmec:20-14.

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2019Forecasting Quarterly Russian GDP Growth with Mixed-Frequency Data. (2019). Mikosch, Heiner ; Solanko, Laura. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:78:y:2019:i:1:p:19-35.

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2019Truncated priors for tempered hierarchical Dirichlet process vector autoregression. (2019). Seleznev, Sergei. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps47.

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2019What measures of real economic activity slack are helpful for forecasting Russian inflation?. (2019). Khabibullin, Ramis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps50.

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2020Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249.

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2020Temporal disaggregation of overlapping noisy quarterly data: estimation of monthly output from UK value‐added tax data. (2020). Weale, Martin ; Labonne, Paul. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1211-1230.

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2020Real‐Time Fiscal Forecasting Using Mixed‐Frequency Data. (2020). Paredes, Joan ; Asimakopoulos, Stylianos ; Warmedinger, Thomas. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:369-390.

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2019Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting. (2019). Aastveit, Knut Are ; West, Mike ; Nakajima, Jouchi ; McAlinn, Kenichiro. In: Working Papers. RePEc:bny:wpaper:0073.

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2019A New Economic Framework: A DSGE Model with Cryptocurrency. (2019). Lorusso, Marco ; Asimakopoulos, Stylianos ; Ravazzolo, Francesco. In: Working Papers. RePEc:bny:wpaper:0079.

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2019Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach. (2019). Vespignani, Joaquin ; Ravazzolo, Francesco ; Ferrari, Davide. In: Working Papers. RePEc:bny:wpaper:0083.

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2020Large Time-Varying Volatility Models for Electricity Prices. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0088.

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2020Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Working Papers. RePEc:bny:wpaper:0089.

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2019Macroeconomic effects of political risk shocks. (2019). Hacioglu Hoke, Sinem. In: Bank of England working papers. RePEc:boe:boeewp:0841.

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2019Should we care? : The economic effects of financial sanctions on the Russian economy. (2019). Mamonov, Mikhail ; Pestova, Anna. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_013.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2020Opening the Red Budget Box: Nonlinear Effects of a Tax Shock in the UK. (2020). Colombo, V. In: Working Papers. RePEc:bol:bodewp:wp1142.

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2019Does Business Confidence Matter for Investment?. (2019). Khan, Hashmat ; Upadhayaya, Santosh. In: Carleton Economic Papers. RePEc:car:carecp:17-13.

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2019Business Cycle Narratives. (2019). Thorsrud, Leif ; Larsen, Vegard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7468.

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2019Forecasting Exports across Europe: What Are the Superior Survey Indicators?. (2019). Lehmann, Robert. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7846.

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2019Domestic and Global Uncertainty: A Survey and Some New Results. (2019). Castelnuovo, Efrem. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7900.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2020Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054.

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2020Energy Markets and Global Economic Conditions. (2020). Korobilis, Dimitris ; Baumeister, Christiane ; Lee, Thomas K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8282.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2019ifo Konjunkturprognose Winter 2019: Deutsche Konjunktur stabilisiert sich. (2019). Wohlrabe, Klaus ; Wolf, Anna ; Reif, Magnus ; Nierhaus, Wolfgang ; Mikosch, Heiner ; Lehmann, Robert ; Göttert, Marcell ; Šauer, Radek ; Rathje, Ann-Christin ; Neuwirth, Stefan ; Link, Sebastian ; Lautenbacher, Stefan ; Krolage, Carla ; Grimme, Christian ; Gottert, Marcell ; Eckert, Florian ; Stockli, Marc ; Wollmershauser, Timo. In: ifo Schnelldienst. RePEc:ces:ifosdt:v:72:y:2019:i:24:p:27-89.

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Forecasting Imports with Information from Abroad. (2019). Lehmann, Robert ; Grimme, Christian ; Noeller, Marvin. In: ifo Working Paper Series. RePEc:ces:ifowps:_294.

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2019Extracting information on economic activity from business and consumer surveys in an emerging economy (Chile). (2019). Pedersen, Michael ; Figueroa, Camila. In: Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchec:v:22:y:2019:i:3:p:098-131.

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2020Proyección de la Inflación en Chile con Métodos de Machine Learning. (2020). Zilberman, Eduardo ; Molina, Carlos ; Leal, Felipe. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:860.

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2019How is Machine Learning Useful for Macroeconomic Forecasting?. (2019). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2019s-22.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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2020Macroeconomic Uncertainty and the COVID-19 Pandemic: Measure and Impacts on the Canadian Economy. (2020). Stevanovic, Dalibor ; Moran, Kevin ; Kader, Adam Abdel. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-47.

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2019Transmisión de los precios del arroz en Colombia y el mundo. (2019). Sepulveda, Ricardo Troncoso. In: Revista Lecturas de Economía. RePEc:col:000174:017450.

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2020Evaluating the forecasting accuracy of the closed- and open economy New Keynesian DSGE models. (2020). van Nguyen, Phuong. In: Dynare Working Papers. RePEc:cpm:dynare:059.

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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions. (2020). Hamilton, James ; Baumeister, Christiane. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14271.

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2020Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models. (2020). Favero, Carlo A ; Melone, Alessandro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14417.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2019When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage. (2019). Simoni, Anna ; Ferrara, Laurent. In: Working Papers. RePEc:crs:wpaper:2019-04.

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2019The Impact of Population, Affluence, Technology, and Urbanization on CO2 Emissions across Income Groups. (2019). Neumann, Anne ; Sorge, Lars. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1812.

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2019The Effect of Early Childhood Education and Care Services on the Social Integration of Refugee Families. (2019). Neidhöfer, Guido ; Spiess, Katharina C ; Neidhofer, Guido ; Gambaro, Ludovica. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1828.

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2019Does monetary policy affect income inequality in the euro area?. (2019). Samarina, Anna ; Nguyen, Anh. In: DNB Working Papers. RePEc:dnb:dnbwpp:626.

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2020Financial disruptions and heightened uncertainty: a case for timely policy action. (2020). Smadu, Andra ; Nalban, Valeriu. In: DNB Working Papers. RePEc:dnb:dnbwpp:687.

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2019Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure. (2019). Yamagata, Takashi ; Sarafidis, Vasilis ; Cui, Guowei ; Norkute, Milda . In: ISER Discussion Paper. RePEc:dpr:wpaper:1019r.

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More than 100 citations found, this list is not complete...

Massimiliano Marcellino has edited the books:


YearTitleTypeCited

Works by Massimiliano Marcellino:


YearTitleTypeCited
2016Measuring Uncertainty and Its Impact on the Economy In: BAFFI CAREFIN Working Papers.
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paper34
2016Measuring Uncertainty and Its Impact on the Economy.(2016) In: Working Papers (Old Series).
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paper
2018Measuring Uncertainty and Its Impact on the Economy.(2018) In: The Review of Economics and Statistics.
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article
2017Macroeconomic activity and risk indicators: an unstable relationship In: BAFFI CAREFIN Working Papers.
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paper2
2018Big Data Econometrics: Now Casting and Early Estimates In: BAFFI CAREFIN Working Papers.
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paper1
2013Regime Switches in the Risk-Return Trade-Off In: Staff Working Papers.
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paper22
2013Regime Switches in the Risk-Return Trade-off.(2013) In: CEPR Discussion Papers.
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paper
2014Regime switches in the risk–return trade-off.(2014) In: Journal of Empirical Finance.
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article
2017Markov-Switching Three-Pass Regression Filter In: Staff Working Papers.
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paper5
2017Markov-switching three-pass regression filter.(2017) In: Working Papers.
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paper
2016Markov-Switching Three-Pass Regression Filter.(2016) In: Working Papers.
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paper
2020Markov-Switching Three-Pass Regression Filter.(2020) In: Journal of Business & Economic Statistics.
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article
2017Large time-varying parameter VARs: a non-parametric approach In: Temi di discussione (Economic working papers).
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paper5
2016Large Time-Varying Parameter VARs: A Non-Parametric Approach.(2016) In: CEPR Discussion Papers.
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paper
2019Large time‐varying parameter VARs: A nonparametric approach.(2019) In: Journal of Applied Econometrics.
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article
2018The global component of inflation volatility In: Temi di discussione (Economic working papers).
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paper9
2019The Global Component of Inflation Volatility.(2019) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 9
paper
2020The economic drivers of volatility and uncertainty In: Temi di discussione (Economic working papers).
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paper0
2012Forecasting economic activity with higher frequency targeted predictors In: Temi di discussione (Economic working papers).
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paper15
2012Selecting predictors by using Bayesian model averaging in bridge models In: Temi di discussione (Economic working papers).
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paper6
2013Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility In: Temi di discussione (Economic working papers).
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paper30
2013Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility.(2013) In: CEPR Discussion Papers.
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paper
2016Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 30
article
1999Some Consequences of Temporal Aggregation in Empirical Analysis. In: Journal of Business & Economic Statistics.
[Citation analysis]
article128
2012Macroeconomic forecasting during the Great Recession: The return of non-linearity? In: Working papers.
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paper31
2013Macroeconomic forecasting during the Great Recession: The return of non-linearity?.(2013) In: CEPR Discussion Papers.
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paper
2015Macroeconomic forecasting during the Great Recession: The return of non-linearity?.(2015) In: International Journal of Forecasting.
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article
2015Macroeconomic forecasting during the Great Recession: the return of non-linearity?.(2015) In: Post-Print.
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paper
2015Macroeconomic forecasting during the Great Recession: the return of non-linearity?.(2015) In: Post-Print.
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paper
2009Forecasting with Factor-Augmented Error Correction Models In: Discussion Papers.
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paper47
2010Forecasting with Factor-augmented Error Correction Models.(2010) In: CEPR Discussion Papers.
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paper
2014Forecasting with factor-augmented error correction models.(2014) In: International Journal of Forecasting.
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article
2009Forecasting with Factor-augmented Error Correction Models.(2009) In: RSCAS Working Papers.
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paper
2010Forecasting with Factor-augmented Error Correction In: Discussion Papers.
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paper2
2015An Overview of the Factor-augmented Error-Correction Model In: Discussion Papers.
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paper2
2016An Overview of the Factor-augmented Error-Correction Model.(2016) In: Advances in Econometrics.
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chapter
2011EUROMIND: a monthly indicator of the euro area economic conditions In: Journal of the Royal Statistical Society Series A.
[Citation analysis]
article27
2015Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials In: Journal of the Royal Statistical Society Series A.
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article66
2015Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis In: Journal of the Royal Statistical Society Series A.
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article12
2015Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility In: Journal of the Royal Statistical Society Series A.
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article45
2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers.
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paper
2012Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility.(2012) In: Working Papers (Old Series).
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paper
2016Mixed frequency structural vector auto-regressive models In: Journal of the Royal Statistical Society Series A.
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article2
2019Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three‐pass regression filter In: Journal of the Royal Statistical Society Series A.
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article1
2020A similarity‐based approach for macroeconomic forecasting In: Journal of the Royal Statistical Society Series A.
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article0
2020A Similarity-based Approach for Macroeconomic Forecasting.(2020) In: CEPR Discussion Papers.
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paper
2004Time-scale transformations of discrete time processes In: Journal of Time Series Analysis.
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article6
2003Time-Scale Transformations of Discrete-Time Processes.(2003) In: Working Papers.
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paper
2007Pooling‐Based Data Interpolation and Backdating In: Journal of Time Series Analysis.
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article3
2005Pooling-based data interpolation and backdating.(2005) In: CEPR Discussion Papers.
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paper
2005Pooling-based Data Interpolation and Backdating.(2005) In: Working Papers.
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paper
2009A parametric estimation method for dynamic factor models of large dimensions In: Journal of Time Series Analysis.
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article51
2006A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions.(2006) In: CEPR Discussion Papers.
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paper
2004Forecast Pooling for European Macroeconomic Variables In: Oxford Bulletin of Economics and Statistics.
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article12
2004Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area In: Oxford Bulletin of Economics and Statistics.
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article69
2005Modelling and Forecasting Fiscal Variables for the Euro Area* In: Oxford Bulletin of Economics and Statistics.
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article30
2005Modelling and Forecasting Fiscal Variables for the euro Area.(2005) In: CEPR Discussion Papers.
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paper
2005Modelling and Forecasting Fiscal Variables for the Euro Area.(2005) In: Working Papers.
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paper
2005Leading Indicators for Euro‐area Inflation and GDP Growth* In: Oxford Bulletin of Economics and Statistics.
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article88
2003Leading Indicators for Euro Area Inflation and GDP Growth.(2003) In: CEPR Discussion Papers.
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paper
2003Leading Indicators for Euro-area Inflation and GDP Growth.(2003) In: Working Papers.
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paper
2008Foreword In: Oxford Bulletin of Economics and Statistics.
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article0
2008Guest Editors’ Introduction to Special Issue on Encompassing In: Oxford Bulletin of Economics and Statistics.
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article3
2008Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models* In: Oxford Bulletin of Economics and Statistics.
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article5
2010Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP In: Oxford Bulletin of Economics and Statistics.
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article99
2011Sectoral Survey‐based Confidence Indicators for Europe In: Oxford Bulletin of Economics and Statistics.
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article7
2007Sectoral Survey-based Confidence Indicators for Europe.(2007) In: Working Papers.
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paper
2013A survey of econometric methods for mixed-frequency data In: Working Paper.
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paper48
2013A survey of econometric methods for mixed-frequency data.(2013) In: Economics Working Papers.
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paper
2013Mixed frequency structural models: estimation, and policy analysis In: Working Paper.
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paper5
2014Mixed frequency structural VARs In: Working Paper.
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paper4
2014Have standard VARs remained stable since the crisis? In: Working Paper.
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paper22
2016Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers.
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paper
2014Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series).
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paper
2017Have Standard VARS Remained Stable Since the Crisis?.(2017) In: Journal of Applied Econometrics.
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article
2015Using low frequency information for predicting high frequency variables In: Working Paper.
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paper16
2018Using low frequency information for predicting high frequency variables.(2018) In: International Journal of Forecasting.
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article
2012A Credibility Proxy: Tracking US Monetary Developments In: The B.E. Journal of Macroeconomics.
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article18
2014The effects of the monetary policy stance on the transmission mechanism In: Studies in Nonlinear Dynamics & Econometrics.
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article3
2008Path Forecast Evaluation In: Working Papers.
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paper40
2008Path Forecast Evaluation.(2008) In: CEPR Discussion Papers.
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paper
2008Path Forecast Evaluation.(2008) In: Economics Working Papers.
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paper
2010Path forecast evaluation.(2010) In: Journal of Applied Econometrics.
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article
2003STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA. In: Working Papers.
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2000STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA..(2000) In: Department of Economics.
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paper
Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data.() In: Working Papers.
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paper
2020Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis In: CIRANO Working Papers.
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paper0
2020Forecasting the Covid-19 recession and recovery: lessons from the financial crisis.(2020) In: Working Paper Series.
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paper
2015Factor based identification-robust inference in IV regressions In: CEPR Discussion Papers.
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paper0
2015Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs In: CEPR Discussion Papers.
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2016Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs.(2016) In: Journal of Econometrics.
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article
2015Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers.
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2016Structural analysis with Multivariate Autoregressive Index models.(2016) In: Journal of Econometrics.
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article
2016Point, interval and density forecasts of exchange rates with time-varying parameter models In: CEPR Discussion Papers.
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paper9
2016Point, interval and density forecasts of exchange rates with time-varying parameter models.(2016) In: Discussion Papers.
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paper
2017Tax shocks with high and low uncertainty In: CEPR Discussion Papers.
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2019Tax shocks with high and low uncertainty.(2019) In: Journal of Applied Econometrics.
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article
2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model In: CEPR Discussion Papers.
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paper2
2016Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model.(2016) In: Working Papers.
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paper
2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects In: CEPR Discussion Papers.
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2018Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2018) In: Working Papers (Old Series).
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2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2019) In: Working Papers.
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2020Assessing international commonality in macroeconomic uncertainty and its effects.(2020) In: Journal of Applied Econometrics.
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article
1998Fiscal Solvency and Fiscal Forecasting in Europe In: CEPR Discussion Papers.
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1998Fiscal Solvency and Fiscal Forecasting in Europe..(1998) In: Economics Working Papers.
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paper
Fiscal Solvency and Fiscal Forecasting in Europe.() In: Working Papers.
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paper
1999Fiscal Forecasting: the Track Record of the IMF, OECD, and EC In: CEPR Discussion Papers.
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2001Fiscal forecasting: The track record of the IMF, OECD and EC.(2001) In: Econometrics Journal.
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article
1999Fiscal Forecasting: the Track Record of the IMF, OECD and EC..(1999) In: Economics Working Papers.
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paper
2001Large Datasets, Small Models and Monetary Policy in Europe In: CEPR Discussion Papers.
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Large Datasets, Small Models and Monetary Policy in Europe.() In: Working Papers.
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2002Factor Forecasts for the UK In: CEPR Discussion Papers.
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Factor forecasts for the UK.() In: Working Papers.
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2001Factor Forecasts for the UK.(2001) In: Economics Working Papers.
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2002Factor Based Index Tracking In: CEPR Discussion Papers.
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2006Factor based index tracking.(2006) In: Journal of Banking & Finance.
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article
Factor Based Index Trading.() In: Working Papers.
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paper
2002Instability and Non-Linearity in the EMU In: CEPR Discussion Papers.
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Instability and non-linearity in the EMU.() In: Working Papers.
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paper
2002Forecast Pooling for Short Time Series of Macroeconomic Variables In: CEPR Discussion Papers.
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Forecast pooling for short time series of macroeconomic variables.() In: Working Papers.
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paper
2002Forecasting EMU Macroeconomic Variables In: CEPR Discussion Papers.
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2004Forecasting EMU macroeconomic variables.(2004) In: International Journal of Forecasting.
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article
Forecasting EMU macroeconomic variables.() In: Working Papers.
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paper
2002Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area In: CEPR Discussion Papers.
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paper68
2006Some stylized facts on non-systematic fiscal policy in the Euro area.(2006) In: Journal of Macroeconomics.
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article
Some stylized facts on non-systematic fiscal policy in the Euro area.() In: Working Papers.
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paper
2003Dating the Euro Area Business Cycle In: CEPR Discussion Papers.
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paper90
2002Dating the Euro Area Business Cycle.(2002) In: Economics Working Papers.
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2003Dating the Euro Area Business Cycle.(2003) In: Working Papers.
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2003The Transmission Mechanism in a Changing World In: CEPR Discussion Papers.
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2003The transmission mechanism in a changing world.(2003) In: Economics Working Papers.
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2007The transmission mechanism in a changing world.(2007) In: Journal of Applied Econometrics.
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2004Characterizing the Business Cycle for Accession Countries In: CEPR Discussion Papers.
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2004Characterising the Business Cycle for Accession Countries.(2004) In: Working Papers.
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2004Characterising the Business Cycle for Accession Countries.(2004) In: Econometrics.
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2004Interpolation and Backdating with A Large Information Set In: CEPR Discussion Papers.
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2003Interpolation and backdating with a large information set.(2003) In: Working Paper Series.
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2006Interpolation and backdating with a large information set.(2006) In: Journal of Economic Dynamics and Control.
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article
2005A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series In: CEPR Discussion Papers.
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paper330
2006A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series.(2006) In: Journal of Econometrics.
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2005A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series.(2005) In: Working Papers.
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paper
2005Leading Indicators: What Have We Learned? In: CEPR Discussion Papers.
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2005Leading Indicators: What Have We Learned?.(2005) In: Working Papers.
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2005Factor Analysis in a New-Keynesian Model In: CEPR Discussion Papers.
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2005Factor analysis in a New-Keynesian model.(2005) In: Working Paper Series.
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2006Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation In: CEPR Discussion Papers.
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2006Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation.(2006) In: Working Papers.
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2006A Simple Benchmark for Forecasts of Growth and Inflation In: CEPR Discussion Papers.
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paper1
2008Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change In: CEPR Discussion Papers.
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2008Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change.(2008) In: Economics Working Papers.
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2008Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change.(2008) In: Working Papers.
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2008Factor-augmented Error Correction Models In: CEPR Discussion Papers.
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2008Factor-augmented Error Correction Models.(2008) In: Economics Working Papers.
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2008Factor-augmented Error Correction Models.(2008) In: Working Papers.
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2008Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP In: CEPR Discussion Papers.
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2008Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP.(2008) In: Economics Working Papers.
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2007Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP.(2007) In: Discussion Paper Series 1: Economic Studies.
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2008A Monthly Indicator of the Euro Area GDP In: CEPR Discussion Papers.
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paper8
2008A Monthly Indicator of the Euro Area GDP.(2008) In: Economics Working Papers.
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2008Forecasting Exchange Rates with a Large Bayesian VAR In: CEPR Discussion Papers.
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2009Forecasting exchange rates with a large Bayesian VAR.(2009) In: International Journal of Forecasting.
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2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Economics Working Papers.
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2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
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2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
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2008A Measure for Credibility: Tracking US Monetary Developments In: CEPR Discussion Papers.
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2008A Measure for Credibility: Tracking US Monetary Developments.(2008) In: DNB Working Papers.
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2008A Measure for Credibility: Tracking US Monetary Developments.(2008) In: Economics Working Papers.
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2009Pooling versus model selection for nowcasting with many predictors: An application to German GDP In: CEPR Discussion Papers.
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paper12
2009Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP.(2009) In: Economics Working Papers.
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2009Pooling versus model selection for nowcasting with many predictors: an application to German GDP.(2009) In: Discussion Paper Series 1: Economic Studies.
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2009MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area In: CEPR Discussion Papers.
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2011MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area.(2011) In: International Journal of Forecasting.
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